If you have XP, have you done the fix you need? It says in the readme you need a little fix for it to work properly afaik. I have win 2k and it crashes when trying to load act 1 part 2, so I can't get any further 🙁.
Have you tried 3d Mark 2001? One of the demos in it uses Max Payne technology, and that coul dshow if your card is OK with the engine (it should be, and Geforce cards by the same count might be ideal for Max Payne since the drivers are optimized for 3d mark).
Anyway, bug fix for Xp might help.